I found this very helpful:

http://users.ece.gatech.edu/~hamblen/book/bookse.htm

There is a third edition written around QuartusII - the current Altera software:

http://users.ece.gatech.edu/~hamblen/book/bookte.htm

I also found "The Designer's Guide to VHDL" (Ashenden) to be very useful for a deeper understanding of VHDL vs. the somewhat cookbook approach of the first book.

Ashenden has also written "The Student's Guide to VHDL" - no idea how good that is.

Some other links:

http://www.opencores.org/ Lots of VHDL and Verilog to examine

http://www.fpgaarcade.com/ Re-creating arcade machines

http://www.xess.com/ Nice development board (lots of good app. notes.) (I'm a satisfied customer)